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Guiso, Luigi; Sapienza, Paola; Zingales, Luigi - National Bureau of Economic Research (NBER) - 2013

We use a repeated survey of an Italian bank's clients to test whether investors' risk aversion increases following the 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially after the crisis. After considering standard...

Persistent link: https://www.econbiz.de/10010950696

Stocks as Lotteries: The Implications of Probability Weighting for Security Prices

Barberis, Nicholas; Huang, Ming - National Bureau of Economic Research (NBER) - 2007

We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative prospect theory, with particular focus on its probability weighting component. Our main result, derived from a novel equilibrium with non-unique global optima, is that, in contrast to the prediction of a standard...

Persistent link: https://www.econbiz.de/10005829132

Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

Brunnermeier, Markus K.; Gollier, Christian; Parker, … - National Bureau of Economic Research (NBER) - 2007

when investors hold beliefs that optimally balance these two incentives, portfolio holdings and asset prices match six … observed patterns: (i) because the cost of biased beliefs are typically second-order, investors typically hold biased … beliefs temper these biases, the utility costs of the lack of diversification are limited; (iii) because there is a …

Persistent link: https://www.econbiz.de/10005050204

Consumption Commitments and Habit Formation

Chetty, Raj; Szeidl, Adam - National Bureau of Economic Research (NBER) - 2004

We analyze the implications of household-level adjustment costs for the dynamics of aggregate consumption. We show that an economy in which agents have "consumption commitments" is approximately equivalent to a habit formation model in which the habit stock is a weighted average of past...

Persistent link: https://www.econbiz.de/10005777399

Optimal Financial Knowledge and Wealth Inequality

Michaud, Pierre-Carl; Mitchell, Olivia; Lusardi, Annamaria - National Bureau of Economic Research (NBER) - 2013

While financial knowledge is strongly positively related to household wealth, there is also considerable cross-sectional variation in both financial knowledge and net asset levels. To explore these patterns, we develop a calibrated stochastic life cycle model featuring endogenous financial...

Persistent link: https://www.econbiz.de/10010950966

Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds

Gomes, Francisco; Kotlikoff, Laurence; Viceira, Luis M. - National Bureau of Economic Research (NBER) - 2008

We investigate optimal consumption, asset accumulation and portfolio decisions in a realistically calibrated life-cycle model with flexible labor supply. Our framework allows for wage rate uncertainly, variable labor supply, social security benefits and portfolio choice over safe bonds and risky...

Persistent link: https://www.econbiz.de/10005085056

Does Home Owning Smooth the Variability of Future Housing Consumption?

Sinai, Todd; Paciorek, Andrew - National Bureau of Economic Research (NBER) - 2010

We show that the hedging benefit of owning a home reduces the variability of housing consumption after a move. When a current home owner's house price covaries positively with housing costs in a future city, changes in the future cost of housing are offset by commensurate changes in wealth...

Persistent link: https://www.econbiz.de/10008727860

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

Cole, Harold; Lustig, Hanno; Chien, YiLi - National Bureau of Economic Research (NBER) - 2014

utility functions, discount rates, and beliefs. In this extension, this restriction is relaxed greatly extending the set of …

Persistent link: https://www.econbiz.de/10010812155

Can Owning a Home Hedge the Risk of Moving?

Sinai, Todd; Souleles, Nicholas S - National Bureau of Economic Research (NBER) - 2009

Conventional wisdom holds that one of the riskiest aspects of owning a house is the uncertainty surrounding its sale price, especially if one moves to another housing market. However, households who sell a house typically buy another house, whose purchase price is also uncertain. We show that...

Persistent link: https://www.econbiz.de/10008624605

Inattentive Consumers

Reis, Ricardo - National Bureau of Economic Research (NBER) - 2004

This paper studies the consumption decisions of agents who face costs of acquiring, absorbing and processing information. These consumers rationally choose to only sporadically update their information and re-compute their optimal consumption plans. In between updating dates, they remain...

Persistent link: https://www.econbiz.de/10005085238

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